In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, "Econometric Theory" 22, 15-68) and ...
The paper proposes statistics to test the null hypothesis of no cointegration in panel data when common factors drive the cross-sectional dependence. We focus on the case in which regressors and the ...
Although recent articles have stressed the importance of testing for unit roots and cointegration in time-series analysis, practitioners have been left without a straightforward procedure to implement ...
This paper estimates the pass-through between market interest rates and deposit interest rates in Japan, in order to investigate whether the bank deposit markets are geographically segmented. The ...
NEW YORK--(BUSINESS WIRE)--Quantitative Brokers, a fixed-income algorithmic executing broker, released a cointegration model for clients trading Eurodollar futures using its Bolt and Strobe algorithms ...
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